| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481690 | Physica A: Statistical Mechanics and its Applications | 2013 | 18 Pages |
Abstract
This paper deals with the problem of pricing European currency options in the mixed fractional Brownian environment. Both the pricing formula and the mixed fractional partial differential equation for European call currency options are obtained. Some Greeks and the estimator of volatility are also provided. Empirical studies and simulation results confirm the theoretical findings and show that the mixed fractional Brownian pricing model is a reasonable one.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Lin Sun,
